This is a very old 8 years issue that Microsoft doesn't want to fix (I guess for regression risk reason). Here is the connect link to it:ListChangedType.ItemDeleted is useless because ListChangedEventArgs.NewIndex is already gone

There are various workaround proposed. The last one by If-Zen (2013/12/28) seems pretty decent, I'll quote it here with a slightly modified version:

public class MyBindingList<T> : BindingList<T>
{
    public MyBindingList()
    {
    }

    public MyBindingList(IList<T> list)
        : base(list)
    {
    }

    // TODO: add other constructors

    protected override void RemoveItem(int index)
    {
        // NOTE: we could check if index is valid here before sending the event, this is arguable...
        OnListChanged(new ListChangedEventArgsWithRemovedItem<T>(this[index], index));

        // remove item without any duplicate event
        bool b = RaiseListChangedEvents;
        RaiseListChangedEvents = false;
        try
        {
            base.RemoveItem(index);
        }
        finally
        {
            RaiseListChangedEvents = b;
        }
    }
}

public class ListChangedEventArgsWithRemovedItem : ListChangedEventArgs
{
    public ListChangedEventArgsWithRemovedItem(object item, int index)
        : base(ListChangedType.ItemDeleted, index, index)
    {
        if (item == null)
            throw new ArgumentNullException("item");

        Item = item;
    }

    public virtual object Item { get; protected set; }
}

public class ListChangedEventArgsWithRemovedItem<T> : ListChangedEventArgsWithRemovedItem
{
    public ListChangedEventArgsWithRemovedItem(T item, int index)
        : base(item, index)
    {
    }

    public override object Item { get { return (T)base.Item; } protected set { base.Item = value; } }
}